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Forecasting unemployment using an autoregression with censored latent effects parameters

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  • Franses, Philip Hans
  • Paap, Richard
  • Vroomen, Bjorn

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  • Franses, Philip Hans & Paap, Richard & Vroomen, Bjorn, 2004. "Forecasting unemployment using an autoregression with censored latent effects parameters," International Journal of Forecasting, Elsevier, vol. 20(2), pages 255-271.
  • Handle: RePEc:eee:intfor:v:20:y:2004:i:2:p:255-271
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    1. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-446, October.
    2. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
    3. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
    4. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    5. Wolak, Frank A., 1989. "Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(1), pages 1-35, April.
    6. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    7. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-328, April.
    8. Grillenzoni, Carlo, 1993. "ARIMA Processes with ARIMA Parameters," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 235-250, April.
    9. Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
    10. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
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    Cited by:

    1. Jan-Erik Antipin & Farid Jimmy Boumediene & Pär Österholm, 2014. "On the Usefulness of Constant Gain Least Squares when Forecasting the Unemployment Rate," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 60(4), pages 315-336.
    2. Miquel Clar-Lopez & Jordi López-Tamayo & Raúl Ramos, 2014. "Unemployment forecasts, time varying coefficient models and the Okun’s law in Spanish regions," Economics and Business Letters, Oviedo University Press, vol. 3(4), pages 247-262.
    3. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
    4. Pincheira, Pablo & Hernández, Ana María, 2019. "Forecasting Unemployment Rates with International Factors," MPRA Paper 97855, University Library of Munich, Germany.
    5. Simionescu Mihaela, 2015. "Kalman Filter or VAR Models to Predict Unemployment Rate in Romania?," Naše gospodarstvo/Our economy, Sciendo, vol. 61(3), pages 3-21, June.
    6. Pär Österholm, 2010. "Improving Unemployment Rate Forecasts Using Survey Data," Finnish Economic Papers, Finnish Economic Association, vol. 23(1), pages 16-26, Spring.
    7. Elena Olmedo, 2014. "Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 183-197, February.
    8. Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
    9. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    10. Chen, Chun-I, 2008. "Application of the novel nonlinear grey Bernoulli model for forecasting unemployment rate," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 278-287.
    11. repec:ath:journl:tome:34:v:2:y:2014:i:34:p:197-209 is not listed on IDEAS
    12. Olmedo, Elena, 2011. "Is there chaos in the Spanish labour market?," Chaos, Solitons & Fractals, Elsevier, vol. 44(12), pages 1045-1053.

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